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QSTMF 731 - Corporate Risk Management

This course is an introduction to modern methods of risk management. The first half of the course focuses on market risk. Here, lectures cover risk measures (such as Value at Risk and Expected Shortfall), with a focus on computation of such measures in a dynamic, multi-asset environment using real-world data. In particular, students will learn to compute, back-test, and account for risk measures when both monitoring and constructing portfolios. Additionally, lectures cover scenario analysis, stress testing, and the measurement of severe tail risk via extreme value theory. In the second half of the course, lectures cover alternate types of risk. These include operational, liquidity, model, and counter-party credit risk. In particular, students will derive formulas for the valuation adjustments due to counter-party default. The approach to the topic is quantitative. The course is ideal for students with strong quantitative backgrounds who are seeking to understand issues pertaining to risk management and to master modern methods and techniques of risk control. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)
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Fall 2021, Fall 2020, Fall 2019
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